New Zealand Gazette – 2011 – No. 133

Page 3774

✨ Banking regulations, Credit risk exposures

NEW ZEALAND GAZETTE, No. 133

24 AUGUST 2011

Schedule 9—All periods

Credit and market risk exposures and capital adequacy

		Page
1	Transitional	3774
2	Risk-weighted credit risk exposures	3774
3	Additional mortgage information	3775
4	Market risk end-period notional capital charges	3775
5	Market risk peak end-of-day notional capital charges	3776
6	Method for deriving peak end-of-day notional capital charges	3776
7	Capital ratios	3777
8	Minimum capital requirements	3777

1 Transitional

The information in clause 2 is not required to be included in disclosure statements for reporting dates on or after 31 December 2011.

2 Risk-weighted credit risk exposures

(1) The information in subclause (2)—

(a) in respect of the registered bank’s banking group; and

(b) derived in accordance with the Capital Adequacy Framework (Basel I Approach) (BS2).

(2) The following information as at the reporting date:

Risk weighted credit exposures

Calculation of on-balance sheet exposures

	Amount	Risk weight	Risk weighted exposure
Cash and short term claims on		0%
Government
Long term claims on Government		10%
Claims on banks		20%
Claims on public sector entities		20%
Residential mortgages		50%
Other		100%
Total assets

Calculation of off-balance sheet exposures

	Amount	Credit conversion factor	Credit equivalent amount	Average counterparty risk weight	Risk weighted exposure
Direct credit substitutes		100%
Asset sales with recourse		100%
Commitments with certain drawdown		100%
Underwriting and sub-underwriting		50%
facilities
Transaction related contingent		50%
items

Gazette.govt.nz — NZ Gazette 2011, No 133

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✨ LLM interpretation of page content

💰 Registered Bank Disclosure Statements (Overseas Incorporated Registered Banks) Order (No 3) 2011 (continued from previous page)

Domain💰 Finance & Revenue
KeywordsBanking regulations, Disclosure statements, Overseas banks, Financial statements, Credit risk exposures, Capital adequacy, Mortgage information, Market risk

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